org.akutan.optimization
Class StateReturnSolver

java.lang.Object
  org.akutan.optimization.ActiveSetSolver
      org.akutan.optimization.StateReturnSolver

All Implemented Interfaces:

Solver

public class StateReturnSolver
extends ActiveSetSolver
implements Solver

Field Summary

Fields inherited from class org.akutan.optimization.ActiveSetSolver

df

Constructor Summary

StateReturnSolver(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D sV_p)

Method Summary

protected void	initialGuess(cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, double r)
protected SolvedPoint	makePointF(double ra, cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D Vt) Calculate some sort of excess return so we get a better 'sharpe ratio' which we use to determine the optimal portfolio for investment.
java.util.List<SolvedPoint>	solve(java.util.List<Constraint> extraConstraints, org.akutan.optimization.ProgressIndicator progress)

Methods inherited from class org.akutan.optimization.ActiveSetSolver

algorithm, dumpConstraints, formatOutput, generateConstraints, generateValues, initialGuess, make2D, makePoint, setMatrix, setMatrix, solve, solveSingle

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

StateReturnSolver

public StateReturnSolver(cern.colt.matrix.DoubleMatrix1D e_r,
                         cern.colt.matrix.DoubleMatrix2D sV_p)

Method Detail

solve

public java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints,
                                         org.akutan.optimization.ProgressIndicator progress)

Specified by:

solve in interface Solver

initialGuess

protected void initialGuess(cern.colt.matrix.DoubleMatrix1D x,
                            cern.colt.matrix.DoubleMatrix1D e_r,
                            double r)

makePointF

protected SolvedPoint makePointF(double ra,
                                 cern.colt.matrix.DoubleMatrix1D x,
                                 cern.colt.matrix.DoubleMatrix1D e_r,
                                 cern.colt.matrix.DoubleMatrix2D Vt)

Calculate some sort of excess return so we get a better 'sharpe ratio' which we use to determine the optimal portfolio for investment.